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bndfutimprepo - Implied repo rates for bond future given price

Syntax

ImpRepo = bndfutimprepo(Price, FutPrice, FutSettle,
Delivery, ConvFactor, CouponRate, Maturity)
ImpRepo = bndfutimprepo(Price, FutPrice, FutSettle,
Delivery, ConvFactor, CouponRate, Maturity,
'ParameterName', 'ParameterValue ...)

Description

ImpRepo = bndfutimprepo(Price, FutPrice, FutSettle, Delivery, ConvFactor, CouponRate, Maturity) computes the implied repo rate for a bond future given the price of a bond, the bond properties, the price of the bond future, and the bond conversion factor.

ImpRepo = bndfutimprepo(Price, FutPrice, FutSettle, Delivery, ConvFactor, CouponRate, Maturity, 'ParameterName', 'ParameterValue ...) accepts optional inputs as one or more comma-separated parameter/value pairs. 'ParameterName' is the name of the parameter inside single quotes. ParameterValue is the value corresponding to 'ParameterName'. Specify parameter-value pairs in any order. Names are case-insensitive.

Inputs

Price	numBonds-by-1 vector of bond prices.
FutPrice	numBonds-by-1 vector of future prices
FutSettle	numBonds-by-1 vector of future settle dates.
Delivery	numBonds-by-1 vector of future delivery dates.
ConvFactor	numBonds-by-1 vector of bond conversion factors. For more information, see convfactor.
CouponRate	numBonds-by-1 vector of coupon rates in decimal form.
Maturity	numBonds-by-1 vector of coupon rates in decimal form.

Parameter–Value Pairs

Basis	Day-count basis. Possible values include 0 = actual/actual 1 = 30/360 (SIA) 2 = actual/360 3 = actual/365 4 = 30/360 (PSA) 5 = 30/360 (ISDA) 6 = 30/360 (European) 7 = actual/365 (Japanese) 8 = actual/actual (ISMA) 9 = actual/360 (ISMA) 10 = actual/365 (ISMA) 11 = 30/360E (ISMA) 12 = actual/365 (ISDA) 13 = BUS/252 Default: 0
EndMonthRule	End-of-month rule. Values are: 0 — Rule is not in effect for the bond. 1 — Rule is in effect for the bond. This means that a security that pays coupon interest on the last day of the month always makes payment on the last day of the month. Default: 1
Face	Face value of the bond. Face has no impact on key rate duration. This calling sequence is preserved for consistency. Default: 100
FirstCouponDate	Irregular or normal first coupon date.
IssueDate	Issue date for a bond.
LastCouponDate	Irregular or normal last coupon date.
Period	Number of coupons payments per year. Possible values include: 0 1 2 3 4 6 12 Default: 2
ReinvestBasis	Day count basis for resinvestment rate. Default: Identical to RepoBasis.
ReinvestRate	Rate for reinvesting intermediate coupons from the bond. Default: Identical to ImpRepo.
RepoBasis	Day count basis for ImpRepo. Default: 2
StartDate	Date when a bond actually starts (the date from which a bond cash flow is considered). To make an instrument forward-starting, specify this date as a future date. If you do not specify StartDate, the effective start date is the Settle date.

Outputs

ImpRepo

Implied repo rate, or the repo rate that would produce the price input.

Definitions

bndfutimprepo computes the implied repo rate for a bond future given:

• Price of a bond

• Bond properties

• Price of the bond future

• Bond conversion factor

The default behavior is that the coupon reinvestment rate matches the repo rate. However, you can specify a separate reinvestment rate using optional inputs.

Examples

Compute the repro rate for a bond future:

bndfutimprepo(129,98,'9/21/2000','12/29/2000',1.3136,.0875,'8/15/2020')

This returns:

ans =
    0.0584

References

Burghardt, G., T. Belton, M. Lane, and J. Papa, The Treasury Bond Basis, McGraw-Hill, 2005.

Krgin, Dragomir, Handbook of Global Fixed Income Calculations, John Wiley & Sons, 2002.

See Also

bndfutprice | convfactor

How To

• Bond Futures

bkput

bndfutprice

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